Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion (Q2810020)
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scientific article; zbMATH DE number 6587711
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| English | Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion |
scientific article; zbMATH DE number 6587711 |
Statements
30 May 2016
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fractional geometric Brownian motion
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Hurst index
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estimation
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increment ratio statistic
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fractional Black-Scholes model
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Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion (English)
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0.8026044964790344
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0.7717000246047974
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0.7620884776115417
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0.7609241008758545
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